I wanted to see what the peanut gallery said on this one before I responded.
Here's the thing, other than going the DOS route, windows still has to load, and it takes windows a while to load even if you have mame load as a shell (all running a exe as the shell does is load it instaead of explorer.exe, which is the last thing windows loads anyway).
So there's really no speed benefit or anything to replacing the windows shell.... I honestly don't know why people do it. If anything it has a couple of drawbacks.... namely some of the things a program or front end might want to call from windows (like desktop resolution, ect) might fail without explorer loaded... causing errors.
So yeah, just stick it in your startup folder. The real questions you should be asking are "How do I speed up the windows boot process?" and "How do I hide windows?" There are tutorials for both on this site.
I would reccomend dos, but MC's emulation has been improved as of mame .146, so you need windows to get the best possible version.